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Investor attention and its impact on portfolio volatility and sectoral risk spillovers in Borsa Istanbul

Özdemir, Müge; Taş, Oktay - In: Borsa Istanbul Review 25 (2025) 1, pp. 107-126

This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...

Persistent link: https://www.econbiz.de/10015334500

The Impact of Model Instability on Long-Term Investors

Diris, Bart F. - 2014

Should long-term investors account for time-variation in model parameters? We develop a time-varying Vector Autoregressive model that can handle time-variation in intercepts, slopes, volatility and correlation, the leverage effect in volatility and fat tails. Long-term investors should take...

Persistent link: https://www.econbiz.de/10013049185

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory : illustrated with Crypto Assets

Deng, Qi; Zhou, Zhong-Guo - 2023

) counterpart in portfolio performance. Collectively, they extend the return/volatility-based Modern Portfolio Theory (MPT) to a … Unified Modern Portfolio Theory (UMPT) with built-in treatments on liquidity risk …

Persistent link: https://www.econbiz.de/10014349884

Multivariate Volatility Regulated Kelly Strategy : A Superior Choice in Low Correlated Portfolios

Liu, Zhenya - 2017

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the Kelly criterion. The objective function is constructed and solved. We show the superiority of our method in relative low correlated portfolios, relatively to fractional Kelly...

Persistent link: https://www.econbiz.de/10012960889

Portfolio Strategies for Volatility Investing

Campasano, Jim - 2020

The VIX premium has been shown to hold predictive power over volatility returns and investment risk. Applied within a portfolio construct, this study proposes a conditional strategy which allocates to market and volatility risk. While the strategy is predominantly short volatility, the strategy...

Persistent link: https://www.econbiz.de/10012846657

Over or Under? Momentum, Idiosyncratic Volatility and Overreaction

Heidari, Mahdi - 2015

Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction remains a question. Using a simple model to...

Persistent link: https://www.econbiz.de/10013012436

Measuring China's stock market sentiment

Li, Jia; Chen, Yun; Shen, Yan; Wang, Jingyi; Huang, Zhuo - 2019

provides support for the noise-trading theory and the limits-to-arbitrage argument, as well as predictions from limited …

Persistent link: https://www.econbiz.de/10012125620

False Safe Haven Assets : Evidence from the Target Volatility Strategy Based on Recurrent Neural Network

Kaczmarek, Tomasz; Bedowska-Sojka, Barbara; Grobelny, … - 2021

Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market downturn, the target and realized volatility might differ significantly, leading to worse than expected portfolio performance. This paper examines the efficiency of a...

Persistent link: https://www.econbiz.de/10013234906

The Macroeconomy and the Cross-Section of International Equity Index Returns : A Machine Learning Approach

Popescu, Andreea Victoria - 2020

The paper evaluates the out-of-sample predictive potential of machine learning methods in the cross-section of international equity index returns using firm fundamentals and macroeconomic predictors. The relatively small number of equity indices in the cross-section compared to the multitude of...

Persistent link: https://www.econbiz.de/10012846997